This is the code base for "Option Return Predictability with Machine Learning and Big Data" 
by Turan G. Bali, Heiner Beckmeyer, Mathis Moerke and Florian Weigert, published in the 
Review of Financial Studies.

We provide randomly generated pseudo samples for those datasets which are not publicly available.
The raw data can be found in ./03_data.

A pseudo option sample can be found in ./04_results.

Tables and figures are saved in ./08_figures.

Code files are found in ./02_programs.
	- Files with prefix "analysis_" contain analysis files used to create the plots and tables found in the main paper and internet appendix.
	- File "hyperparameter_optimization.py" contains the estimation code for the models used,
	  with "metadata.py" containing the setup to get the estimation running on a high performance
	  cluster.
	- File "predict.py" contains the code for the out-of-sample predictions using the fitted models.
	- The remaining code files are helper files for the estimation or analyses.